摘要：This paper is concerned with testing the existence of month-of-the-year effect on Bucharest Stock Exchange. The empirical research is conducted using daily logarithmic returns of the Romanian composite index,BET- and of the index of the five investment financial societies listed on BSE (SIFs) over a eight years period (January 2000 and October 2000 respectively,the first available dates for both BET-C and BET-FI – till present time- November 2007). A regression model using dummy variables is run to test the presence of this seasonal effect. We find that we do have a statistically significant January effect for the BET-C index,but the results provide no support for the existence of the month of the year effect for the BETFI index.
关键词：pattern;monthe of the yaer effect;dummy variable;multiple regressions.
